I'm a little late to this one, but I wanted to throw in my $0.02. I bought an optical Modi as an upgrade to my Sound Blaster's DAC and couldn't hear any difference, so I returned it. Later I purchased the Audio-GD NFB-15 and heard a very noticeable improvement in clarity, separation and black background.
I thought there might have been a problem with me since I couldn't hear how awesome the Modi supposedly sounded (if you believe what everyone on Head-fi writes). After upgrading to a much better DAC, I realize that the DAC in my sound card was just as good as the Modi, which is why I couldn't hear the difference.
The moral of the story for me is that the DAC is definitely an important part of the chain and if the rest of your gear is up to par, you can definitely benefit from jumping up to something nicer. I agree with Thurston regarding diminishing returns tho. I doubt further upgrades will be nearly as impressive.
Now, back to the original reason I can in here. Please excuse the cross post, but can anyone in here speak to the differences between the HE-500 and the HE-4? I'm borrowing a friend's HE-4 now and it's amazing and I am thinking about buying one. However looking for reviews has led me to the HE-500 as another potential option. I've read nothing but amazing reviews of this can, but I'm not sure if it will be worth the price difference from the HE-4. Innerfidelity and the 50 Flagships thread both neglect to mention the HE-4.
EDIT - Oh and will my NFB-15 drive them/pair well with them?
HE-500
center imaging
sound stage (the HE-4 is a bit more distant, but HE-500 defined the lines very well)
micro-detail
extension (on both sides)
bass (the 500's has a little bit of the Audeze house sound going on, the bass encompasses much of the head room)
class (again, I won't say this isn't my bias speaking, but I believe the HE-500's are much more classier than the HE-4's)
warmth
HE-4
perceived detail (a little hot for some, I had no issues with it)
crispier
timbre (depends if you're more for the high or low end)
air (14 K monster)
speed (bounces back like a champ, it could go toe to toe with the Fostex t50rp's)
fun factor (I could live with the 4's without ever caring for the 500's, ever)
If you like the HE-4's, you'll probably enjoy the HD800's (nice, but very sterile in my opinion) and the HE-6's (not as distant sounding as the 4's, but more resolving). If you prefer the HE-500's, then you'll probably prefer the Audeze LCD-2/3 (I know I did, those cans are absolutely mystifying), and the Beyer T1's (I thought the T1 's sound very similar to the He-500's, but with more stride).